capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …

, different channels were used to identify the source of inflation persistence and volatility. This was estimated using Bayesian … Nigeria can be modelled by assuming constant volatility as the evidence shows that stochastic volatility (SV) is not a source … an evidence of instability not volatility in the variance of the trend inflation. Secondly, we found that the inclusion …

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …